wehub-resource-sync
89 lines
4.5 KiB
Python
89 lines
4.5 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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import itertools
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from OptionStrategyFactoryMethodsBaseAlgorithm import *
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### <summary>
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### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
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### In this case, the algorithm tests the Iron Condor strategy.
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### </summary>
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class IronCondorStrategyAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
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def expected_orders_count(self) -> int:
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return 8
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def trade_strategy(self, chain: OptionChain, option_symbol: Symbol) -> None:
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for expiry, group in itertools.groupby(chain, lambda x: x.expiry):
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contracts = sorted(group, key=lambda x: x.strike)
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if len(contracts) < 4:
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continue
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put_contracts = [x for x in contracts if x.right == OptionRight.PUT]
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if len(put_contracts) < 2:
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continue
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long_put_strike = put_contracts[0].strike
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short_put_strike = put_contracts[1].strike
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call_contracts = [x for x in contracts if x.right == OptionRight.CALL and x.strike > short_put_strike]
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if len(call_contracts) < 2:
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continue
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short_call_strike = call_contracts[0].strike
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long_call_strike = call_contracts[1].strike
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self._iron_condor = OptionStrategies.iron_condor(option_symbol, long_put_strike, short_put_strike, short_call_strike, long_call_strike, expiry)
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self.buy(self._iron_condor, 2)
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return
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def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol) -> None:
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positions = list(position_group.positions)
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if len(positions) != 4:
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raise AssertionError(f"Expected position group to have 4 positions. Actual: {len(positions)}")
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ordered_strikes = sorted((leg.strike for leg in self._iron_condor.option_legs))
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long_put_strike = ordered_strikes[0]
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long_put_position = next((x for x in position_group.positions
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if x.symbol.id.option_right == OptionRight.PUT and x.symbol.id.strike_price == long_put_strike),
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None)
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if not long_put_position or long_put_position.quantity != 2:
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raise AssertionError(f"Expected long put position quantity to be 2. Actual: {long_put_position.quantity}")
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short_put_strike = ordered_strikes[1]
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short_put_position = next((x for x in position_group.positions
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if x.symbol.id.option_right == OptionRight.PUT and x.symbol.id.strike_price == short_put_strike),
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None)
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if not short_put_position or short_put_position.quantity != -2:
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raise AssertionError(f"Expected short put position quantity to be -2. Actual: {short_put_position.quantity}")
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short_call_strike = ordered_strikes[2]
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short_call_position = next((x for x in position_group.positions
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if x.symbol.id.option_right == OptionRight.CALL and x.symbol.id.strike_price == short_call_strike),
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None)
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if not short_call_position or short_call_position.quantity != -2:
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raise AssertionError(f"Expected short call position quantity to be -2. Actual: {short_call_position.quantity}")
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long_call_strike = ordered_strikes[3]
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long_call_position = next((x for x in position_group.positions
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if x.symbol.id.option_right == OptionRight.CALL and x.symbol.id.strike_price == long_call_strike),
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None)
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if not long_call_position or long_call_position.quantity != 2:
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raise AssertionError(f"Expected long call position quantity to be 2. Actual: {long_call_position.quantity}")
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def liquidate_strategy(self) -> None:
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# We should be able to close the position by selling the strategy
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self.sell(self._iron_condor, 2)
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